Rodriguez also faced questions about his gambling habits in 2005, when the Daily News reported he attended games at an underground poker club in New York. The slugging third baseman later acknowledged "it wasn't the right thing to do," and checked with MLB before holding a charity poker tournament the following year.
Now baseball wants to talk to him again.
"We take this very seriously and have been investigating this matter since the initial allegation," MLB said Wednesday in a statment. "As part of the investigation, the commissioner's office will interview Mr. Rodriguez."
Rodriguez is on the disabled list and wasn't with the team Wednesday night in Chicago.
"I don't really have any comment on that," manager Joe Girardi said before the Yankees played the White Sox. "Let baseball handle those things."
Star Magazine reported last month that several people saw A-Rod playing in games hosted at Hollywood hotels and residences. His publicist denied that Rodriguez participated.
Rodriguez's name is not mentioned in any court filings in relation to the games.
MLB said at the time that the report was the first the commissioner's office had heard about the accusation and baseball officials would look into the matter.
A spokesman for the Yankees declined comment when asked about Rodriguez on Wednesday. A message was left seeking comment from Richard Rubenstein, Rodriguez's publicist.
The 36-year-old Rodriguez had right knee surgery on July 14 but is expected to resume baseball activities on Thursday at the Yankees' facility in Florida. The three-time AL MVP is hitting .295 with 13 home runs and 52 RBIs this season.
Rodriguez ranks sixth on the career homer list with 626. He needs 137 to break Barry Bonds' all-time record.